Mathematical Finance and Stochastic Calculus

Participants and suggested talks of the 6th Colloquium:

Abakirova Aygul, Moscow State University, Russia
abakirova@gmail.com
On some functional inequalities for skew Brownian motion.

Acciaio Beatrice, University of Vienna, Austria
beatrice.acciaio@univie.ac.at
Maximal martingale inequalities by pathwise hedging.

Aksamit Anna, Universite d'Evry Val D'Essonne, France
ania.aksamit@gmail.com

Albrecher Hansjoerg, University of Lausanne, Switzerland,
hansjoerg.albrecher@unil.ch
Insurance risk and ruin theory: a survey.

Ano Katsunori, Shibaura Institute of Technology, Japan
k-ano@shibaura-it.ac.jp
Optimal multiple stopping and free-boundary problem with application to finance.

Antar Ezequiel, Cambridge University, UK
ezequiel.antar@gmail.com

Arkin Vadim , CEMI RAS, Moscow, Russia
arkin@cemi.rssi.ru
Real options and Stefan problem: a variational view.

Azzaz Julien, ISFA, France
julien.azzaz@laposte.net

Belak Christoph, Dublin City University, Ireland and University of Kaiserslautern, Germany,
christoph.belak@dcu.ie
Worst-case portfolio optimization under proportional transaction costs.

Biard Romain, Universite de Besancon, France
romain.biard@univ-fcomte.fr

Carassus Laurence, Paris-6, LPMA, France
carassus@math.jussieu.fr
Maximization for non-concave utility functions in discrete-time financial market models.

Chainarong Kesamoon, Universitat Aut˜noma de Barcelona, Spain
chainarong@mat.uab.cat

Crepey Stephane, Universite d'Evry Val D'Essonne, France
stephane.crepey@univ-evry.fr
Informationally dynamized dynamic Gaussian copula model and application to counterparty risk.

Danilova Albina, London School of Economics, UK
a.danilova@lse.ac.uk
Equilibrium model with default and insider's dynamic information.

Douady Raphael, Riskdata, Paris-New York, France,
raphael.douady@riskdata.com

Elie Romuald, Universite Paris Dauphine, France
elie@ceremade.dauphine.fr
Exact replication under portfolio constraints.

Ellanskaya Anastasia, Iniversite d'Angers, France
ellanskaya@gmail.com

Gabrielli Nicoletta, ETH Zurich, Switzerland
nicoletta.gabrielli@math.ethz.ch

Gobet Emmanuel, Ecole Polytechnique, France
emmanuel.gobet@polytechnique.edu
Almost sure optimal hedging strategy.

Grbac Zorana, Universite d'Evry Val d'Essonne, France
zorana.grbac@univ-evry.fr
A defaultable HJM multiple-curve term structure model.

Julien Grepat, Universite de Besancon, France
julien.grepat@univ-fcomte.fr

Grigoryeva Lioudmila, Universite de Besancon, France
l.v.grigoryeva@gmail.fr

Gushchin Alexandre, Steklov Institute, Moscow, Russia
gushchin@mi.ras.ru
Some functional analytic tools for utility maximization.

Hadjiliadis Olympia, CUNY, USA
OHadjiliadis@brooklyn.cuny.edu
Drawdowns and the speed of a market crash.

Hamadene Said, Universite du Maine, France
hamadene@univ-lemans.fr
The zero-sum switching game.

Herdegen Martin, ETH Zurich, Switzerland
Martin.Herdegen@math.ethz.ch
Numeraire independent modelling of financial markets.

Hernandez Daniel, CIMAT, Mexico
dher@cimat.mx

Herrmann Sebastian, ETH Zurich, Switzerland
sebastian.herrmann@math.ethz.ch

Hugonnier Julien, EPFL, Switzerland
julien.hugonnier@epfl.ch
Speculative behavior in decentralized markets.

Hula Andreas, Dublin City University, Ireland
Andreas.Hula@dcu.ie
Mean variance frontier with transaction costs.

Hurd Tom, McMaster University, Canada
hurdt@mcmaster.ca

Jeanblanc Monique, Universite d'Evry Val D'Essonne, France
monique.jeanblanc@univ-evry.fr
Azema supermartingales, enlargement of filtration and representation theorems.

Kabanov Yuri, Universite de Besancon, France
youri.kabanov@univ-fcomte.fr

Kazi-Tani Nabil, Ecole Polytechnique, France
kazitani@cmap.polytechnique.fr

Kijima Masaaki, Tokyo Metropolitan University, Japan
kijima@tmu.ac.jp
Equilibrium price and allocation in the presence of transaction costs.

Klimenko Alexander, BlueCrest Capital Management, Geneva, Switzerland
aklimenko@bluecrestcapital.com

Kordzakhia Nino, Macquarie University, Sydney, Australia
Nino.Kordzakhia@mq.edu.au
On estimation of solvency margins in autoregressive models.

Kreher Doerte, Universitaet Zuerich, Switzerland
doerte.kreher@math.uzh.ch

Lepinette Emmanuel , Universite Paris-Dauphine, France
emmanuel.denis@ceremade.dauphine.fr
Essential supremum with respect to a random cone and applications.

Li Qinghua, Universite d'Evry Val D'Essonne, France
ms.qinghuali@gmail.com
Optimal Stopping of a Diffusion with a Change Point

Loisel Stephane, LSFA Universite Lyon-1, France
stephane.loisel@univ-lyon1.fr
Ruin theory with correlated risks.

Lyasoff Andrew, Boston University, USA
alyasoff@bu.edu
Shadow dynamic programming and its connection to equilibrium asset pricing.

Marsilli Clement, Universite de Besancon, France
clement.marsilli@univ-fcomte.fr

Martynov Gennady Institute for Information Transmission Problems RAS, Russia
magevl@gmail.com
Components of the Cramer-von Mises test.

Matoussi Anis, Universite du Maine, France
Anis.Matoussi@univ-lemans.fr
Some results on 2BSDE's and applications in finance.

Musiela Marek, BNP-Paribas, London, UK
marek.musiela@uk.bnpparibas.com

Neufeld Ariel, ETH Zurich, Switzerland
aneufeld@student.ethz.ch

Nguyen Hai Nam, Universite d'Evry Val D'Essonne, France
hai-nam.nguyen@melix.net

Novikov Alex, University of Technology, Sydney, Australia
Alex.Novikov@uts.edu.au
On analytical results and simulation of some functionals of the fractional Brownian motion.

Ortega Juan-Pablo, Universite de Besancon, France
Juan-Pablo.Ortega@univ-fcomte.fr
Hedging of discrete time auto-regressive stochastic volatility options.

Ostafe Lavinia, University of Vienna, Austria
lavinia.ostafe@univie.ac.at

Peresetsky Anatoly, Higher School of Economics, Moscow, Russia
peresetsky@cemi.rssi.ru
A new approach to ratings mapping.

Pergamenchtchikov Serguei, Universite de Rouen, France
serge.pergamenchtchikov@univ-rouen.fr
Optimal consumption and investment for markets with random coefficients.

Possamai Dylan, Ecole Polytechnique, France
dylan.possamai@polytechnique.edu
Quadratic second-order BSDEs and utility maximization under volatility uncertainty.

Platen Eckhard, University of Technology Sydney, Australia
Eckhard.Platen@uts.edu.au
Benchmarked risk minimization in incomplete markets.

Presman Ernst, CEMI RAS, Moscow, Russia
presman@cemi.rssi.ru

Rabehasaina Landy, Universite de Besancon, France
lrabehas@univ-fcomte.fr

Rasonyi Miklos, University of Edinburgh, UK
Miklos.Rasonyi@ed.ac.uk
Parameter estimation from quantized observations.

Reichlin Christian, ETH Zurich, Switzerland
chrisitan.reichlin@math.ethz.ch
Non-concave utility maximization with a given pricing measure.

Reveillac Anthony, Universite Paris-Dauphine, France
anthony.reveillac@ceremade.dauphine.fr
Forward-backward systems for expected utility maximization.

Rheinlaender Thorsten, London School of Economics, UK
T.Rheinlander@lse.ac.uk
Semi-static hedging.

Richter Anja, ETH Zurich, Switzerland
anja.richter@math.ethz.ch
Explicit solutions to quadratic BSDEs and applications to utility maximization in multivariate affine stochastic volatility models.

Royer Guillaume, Ecole Polytechnique, France
guillaume.royer@polytechnique.edu

Rudloff Birgit, Princeton University, USA
brudloff@princeton.edu
Calculation of superhedging portfolios and strategies under transaction costs.

Schmutz Michael, University of Bern, Switzerland
michael.schmutz@stat.unibe.ch

Schweizer Martin, ETH Zurich, Switzerland
martin.schweizer@math.ethz.ch
An infinite-dimensional version of the Dalang-Morton-Willinger proof.

Sexton Jennifer, University of Manchester, UK
Some singular control problems in insurance and finance.

Shi Pucheng, London School of Economics, UK
p.shi@lse.ac.uk
Discrete consumption in monotone follower problem and Merton's problem.

Sikic Mario, ETH Zurich, Switzerland
mario.sikic@math.ethz.ch

Shiryaev Albert, Steklov Institute, Moscow, Russia
albertsh@mi.ras.ru
A survey lecture on weak and strong solutions of SDEs.

Slastnikov Alexandre, CEMI RAS, Moscow, Russia
slast@cemi.rssi.ru
Stochastic models of investment attraction.

Song Shiqi, Universite d'Evry, France
bachsuitepremier@gmail.com
Martingale representation property in credit risk modeling.

Spreij Peter, Korteweg-de Vries Institute for Mathematics, Universiteit van Amsterdam, The Netherlands
spreij@uva.nl
Affine diffusions with non-canonical state space.

Stoyanov Jordan, Newcastle University, UK
Jordan.Stoyanov@newcastle.ac.uk
Moment determinacy of distributions used in financial and risk modeling.

Suzuki Teruyoshi, Hokkaido University, Japan
suzuki@econ.hokudai.ac.jp
Life insurance and annuities with positive premium loadings: A life cycle model with borrowing.

Tan Xiaolu, Ecole Polytechnique, France
xiaolu.tan@polytechnique.edu

Touzi Nizar, Ecole Polytechnique, France
touzi@cmapx.polytechnique.fr
On the Azema-Yor solution of the SEP.

Urusov Mikhail, Ulm University, Germany
mikhail.urusov@uni-ulm.de
Optimal trade execution and price manipulation in order books with time-varying liquidity.

Viitasaari Lauri, Aalto University, Finland
lvsavola@cc.hut.fi
Remarks on general options and their relation to call options.

Vostrikova Lioudmila, Iniversite d'Angers, France
vostrik@univ-angers.fr
Exponential Levy models and enlargement of filtration.

Vukelja Mirjana, ETH Zurich, Switzerland
mirjana.vukelja@math.ethz.ch

Weber Marco, Dublin City University, Ireland
marko.weber5@mail.dcu.ie
Liquidity, large investors, and no borrowing.

Wu Dongli, Universite d'Evry Val D'Essonne, France
dominique0054@msn.com

Zervos Mikhail, London School of Economics, UK
M.Zervos@lse.ac.uk
Optimal stopping of one-dimensional diffusions with generalized drift.

Zhang Hongzhong, Columbia University, USA
hz2244@columbia.edu
Optimal risk portfolios.

Zhou Chao, Ecole Polytechnique, France,
chao.zhou@polytechnique.org

Zivoi Danijel, ETH Zurich, Switzerland
zivoid@student.ethz.ch